In this study, we evaluated the risk factors associated with overweight and obesity in 2,640 preschool children in Italy taking into account the ethnic background of the parents. Height and weight were measured and BMI was calculated. Personal and lifestyle data for the children (birth weight, type of breastfeeding, sleep duration, skipping breakfast, snacking, physical activity) and parents (ethnicity, educational level, occupation, weight, height) were collected by means of a questionnaire. Italian and Other European children generally showed the highest percentage of normal weight, while the other ethnic groups presented a greater imbalance. Overweight and obesity were high in African males, who also presented high birth weight. Breastfeeding was most common, although formula feeding was significantly higher in Italians than in immigrants. Immigrants, particularly males, tended to skip breakfast more than Italians. Physical activity was significantly higher in Italians than in immigrants. In the parents, underweight was particularly high in Italian and Other mothers. African parents had high rates of overweight and obesity and a low educational level. The most common profession was worker for the fathers and housewife for the mothers, with the exception of Italians in which clerical work prevailed. Multiple linear regression analysis showed that the BMI of children was closely related to the BMI of the parents and the birth weight. Hence, these are the most informative parameters in preventing obesity.